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by Martinghoul
February 20th, 2018, 9:29 am
Forum: General Forum
Topic: Delta Exchange - FX Options
Replies: 2
Views: 509

Re: Delta Exchange - FX Options

It's also an execution tactic, which allows one to optimize the slippage...  So even in cases where you do want a leveraged position in the underlying, you might initially want to execute the trade with delta.
by Martinghoul
February 8th, 2018, 4:47 pm
Forum: General Forum
Topic: How to be duration and currency neutral when spreading intra-market bond futures?
Replies: 7
Views: 854

Re: How to be duration and currency neutral when spreading intra-market bond futures?

Well, it's going to be mighty difficult, if not impossible, to be neutral at all times, obviously...
by Martinghoul
February 7th, 2018, 5:55 pm
Forum: General Forum
Topic: How to be duration and currency neutral when spreading intra-market bond futures?
Replies: 7
Views: 854

Re: How to be duration and currency neutral when spreading intra-market bond futures?

When do you want to be duration neutral?  Today or at delivery?
by Martinghoul
February 6th, 2018, 10:06 am
Forum: Trading Forum
Topic: Some volatility products may terminate tomorrow
Replies: 13
Views: 1924

Re: Some volatility products may terminate tomorrow

VIX keeps going up this morning...  Now appears arnd 40.
by Martinghoul
January 18th, 2018, 9:45 am
Forum: General Forum
Topic: PCA interest rate swap butterflies
Replies: 7
Views: 9320

Re: PCA interest rate swap butterflies

Hi Martinghoul, could you please send me that doc ?
PM me your email and I will...
by Martinghoul
December 8th, 2017, 10:51 am
Forum: Technical Forum
Topic: FX barrier options
Replies: 5
Views: 1096

Re: FX barrier options

I was under the impression that the bog standard methods that prevail in FX and have been covered by Wystup dominate.  I may be wrong abt that.
by Martinghoul
December 8th, 2017, 10:40 am
Forum: General Forum
Topic: PCA interest rate swap butterflies
Replies: 7
Views: 9320

Re: PCA interest rate swap butterflies

PM me your email address...
by Martinghoul
December 6th, 2017, 10:06 am
Forum: Technical Forum
Topic: Converntions for compounded OIS swaps
Replies: 3
Views: 601

Re: Converntions for compounded OIS swaps

AFAIK, for regular OIS, fixed leg convention is ACT/360 and the payments occur on the same day as the floating leg payments.  

For the basis swap, the LIBOR payments appear to coincide with the OIS ones.  At least, this is what I see...
by Martinghoul
December 5th, 2017, 10:51 am
Forum: Technical Forum
Topic: Converntions for compounded OIS swaps
Replies: 3
Views: 601

Re: Converntions for compounded OIS swaps

I believe t2+2 bus days is correct, certainly as far fixed vs floating swaps are concerned.  This applies to both legs of the swap.

Interestingly enough, it appears that conventions for a regular LIBOR/OIS basis swap are different, but I am not sure that's the product in question here.
by Martinghoul
November 28th, 2017, 10:30 am
Forum: Student Forum
Topic: Newbie questions on bond futures
Replies: 2
Views: 719

Re: Newbie questions on bond futures

Your trader just did the roll, that's all.  They might been short CNZ7 to start with or maybe they're doing this as a punt.  Trading the roll is a bit of an art mixed with science.  I am pretty sure there's enough written on the subject that you can at least acquaint yourself with the mechanics.   O...
by Martinghoul
November 28th, 2017, 9:44 am
Forum: Trading Forum
Topic: Risky Corporate Bond Settlement Scenario
Replies: 5
Views: 871

Re: Risky Corporate Bond Settlement Scenario

I think your question has to do with a subject that's occasionally been discussed here...  Specifically, if and how to discount bonds for valuation purposes.
by Martinghoul
November 1st, 2017, 9:13 am
Forum: Student Forum
Topic: Paced Transition Plan, discuss....
Replies: 5
Views: 1646

Re: Paced Transition Plan, discuss....

I honestly have no clue...
by Martinghoul
October 24th, 2017, 2:25 pm
Forum: General Forum
Topic: Paper on pricing short dated rates options
Replies: 1
Views: 437

Re: Paper on pricing short dated rates options

The event stuff is quite ad hoc...  I don't recall seeing any papers on these subjects.
by Martinghoul
October 13th, 2017, 9:03 pm
Forum: Economics Forum
Topic: The question of low inflation
Replies: 14
Views: 2223

Re: The question of low inflation

If you want to get a sense of some new "macro" ideas that could explain some of the phenomena discussed, this paper has been mentioned:
http://pages.stern.nyu.edu/~xgabaix/papers/brNK.pdf

Xavier Gabaix has, generally, done interesting research.
by Martinghoul
October 13th, 2017, 10:11 am
Forum: Economics Forum
Topic: The question of low inflation
Replies: 14
Views: 2223

Re: The question of low inflation

I was being sarcastic, actually...  It's quite complicated, actually, and there are lots and lots of theories and potential explanations.
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